Tag Archives: engineering

My Trouble with Bayes

The MultidisciplinarianIn past consulting work I’ve wrestled with subjective probability values derived from expert opinion. Subjective probability is an interpretation of probability based on a degree of belief (i.e., hypothetical willingness to bet on a position) as opposed a value derived from measured frequencies of occurrences (related posts: Belief in Probability, More Philosophy for Engineers). Subjective probability is of interest when failure data is sparse or nonexistent, as was the data on catastrophic loss of a space shuttle due to seal failure. Bayesianism is one form of inductive logic aimed at refining subjective beliefs based on Bayes Theorem and the idea of rational coherence of beliefs. A NASA handbook explains Bayesian inference as the process of obtaining a conclusion based on evidence,  “Information about a hypothesis beyond the observable empirical data about that hypothesis is included in the inference.” Easier said than done, for reasons listed below.

Bayes Theorem itself is uncontroversial. It is a mathematical expression relating the probability of A given that B is true to the probability of B given that A is true and the individual probabilities of A and B:

P(A|B) = P(B|A) x P(A) / P(B)

If we’re trying to confirm a hypothesis (H) based on evidence (E), we can substitute H and E for A and B:

P(H|E) = P(E|H) x P(H) / P(E)

To be rationally coherent, you’re not allowed to believe the probability of heads to be 0.6 while believing the probability of tails to be 0.5; the sum of chances of all possible outcomes must equal exactly one. Further, for Bayesians, the logical coherence just mentioned (i.e., avoidance of Dutch book arguments) must hold across time (synchronic coherence) such that once new evidence E on a hypothesis H is found, your believed probability for H given E should equal your prior conditional probability for H given E.

Plenty of good sources explain Bayesian epistemology and practice far better than I could do here. Bayesianism is controversial in science and engineering circles, for some good reasons. Bayesianism’s critics refer to it as a religion. This is unfair. Bayesianism is, however, like most religions, a belief system. My concern for this post is the problems with Bayesianism that I personally encounter in risk analyses. Adherents might rightly claim that problems I encounter with Bayes stem from poor implementation rather than from flaws in the underlying program. Good horse, bad jockey? Perhaps.

Problem 1. Subjectively objective
Bayesianism is an interesting mix of subjectivity and objectivity. It imposes no constraints on the subject of belief and very few constraints on the prior probability values. Hypothesis confirmation, for a Bayesian, is inherently quantitative, but initial hypotheses probabilities and the evaluation of evidence is purely subjective. For Bayesians, evidence E confirms or disconfirms hypothesis H only after we establish how probable H was in the first place. That is, we start with a prior probability for H. After the evidence, confirmation has occurred if the probability of H given E is higher than the prior probability of H, i.e., P(H|E) > P(H). Conversely, E disconfirms H when P(H|E) < P(H). These equations and their math leave business executives impressed with the rigor of objective calculation while directing their attention away from the subjectivity of both the hypothesis and its initial prior.

2. Rational formulation of the prior
Problem 2 follows from the above. Paranoid, crackpot hypotheses can still maintain perfect probabilistic coherence. Excluding crackpots, rational thinkers – more accurately, those with whom we agree – still may have an extremely difficult time distilling their beliefs, observations and observed facts of the world into a prior.

3. Conditionalization and old evidence
This is on everyone’s short list of problems with Bayes. In the simplest interpretation of Bayes, old evidence has zero confirming power. If evidence E was on the books long ago and it suddenly comes to light that H entails E, no change in the value of H follows. This seems odd – to most outsiders anyway. This problem gives rise to the game where we are expected to pretend we never knew about E and then judge how surprising (confirming) E would have been to H had we not know about it. As with the general matter of maintaining logical coherence required for the Bayesian program, it is extremely difficult to detach your knowledge of E from the rest of your knowing about the world. In engineering problem solving, discovering that H implies E is very common.

4. Equating increased probability with hypothesis confirmation.
My having once met Hillary Clinton arguably increases the probability that I may someday be her running mate; but few would agree that it is confirming evidence that I will do so. See Hempel’s raven paradox.

5. Stubborn stains in the priors
Bayesians, often citing success in the business of establishing and adjusting insurance premiums, report that the initial subjectivity (discussed in 1, above) fades away as evidence accumulates. They call this washing-out of priors. The frequentist might respond that with sufficient evidence your belief becomes irrelevant. With historical data (i.e., abundant evidence) they can calculate P of an unwanted event in a frequentist way: P = 1-e to the power -RT, roughly, P=RT for small products of exposure time T and failure rate R (exponential distribution). When our ability to find new evidence is limited, i.e., for modeling unprecedented failures, the prior does not get washed out.

6. The catch-all hypothesis
The denominator of Bayes Theorem, P(E), in practice, must be calculated as the sum of the probability of the evidence given the hypothesis plus the probability of the evidence given not the hypothesis:

P(E) = [P(E|H) x p(H)] + [P(E|~H) x P(~H)]

But ~H (“not H”) is not itself a valid hypothesis. It is a family of hypotheses likely containing what Donald Rumsfeld famously called unknown unknowns. Thus calculating the denominator P(E) forces you to pretend you’ve considered all contributors to ~H. So Bayesians can be lured into a state of false choice. The famous example of such a false choice in the history of science is Newton’s particle theory of light vs. Huygens’ wave theory of light. Hint: they are both wrong.

7. Deference to the loudmouth
This problem is related to no. 1 above, but has a much more corporate, organizational component. It can’t be blamed on Bayesianism but nevertheless plagues Bayesian implementations within teams. In the group formulation of any subjective probability, normal corporate dynamics govern the outcome. The most senior or deepest-voiced actor in the room drives all assignments of subjective probability. Social influence rules and the wisdom of the crowd succumbs to a consensus building exercise, precisely where consensus is unwanted. Seidenfeld, Kadane and Schervish begin “On the Shared Preferences of Two Bayesian Decision Makers” with the scholarly observation that an outstanding challenge for Bayesian decision theory is to extend its norms of rationality from individuals to groups. Their paper might have been illustrated with the famous photo of the exploding Challenger space shuttle. Bayesianism’s tolerance of subjective probabilities combined with organizational dynamics and the shyness of engineers can be a recipe for disaster of the Challenger sort.

All opinions welcome.

Belief in Probability – Part 1

Years ago in a meeting on design of a complex, redundant system for a commercial jet, I referred to probabilities of various component failures. In front of this group of seasoned engineers, a highly respected, senior member of the team interjected, “I don’t believe in probability.”

His proclamation stopped me cold. My first thought was what kind a backward brute would say something like that, especially in the context of aircraft design. But Willie was no brute. In fact he is a legend in electro-hydro-mechanical system design circles; and he deserves that status. For decades, millions of fearless fliers have touched down on the runway, unaware that Willie’s expertise played a large part in their safe arrival. So what can we make of Willie’s stated disbelief in probability?

Friends and I have been discussing risk science a lot lately – diverse aspects of it including the Challenger disaster, pharmaceutical manufacture in China, and black swans in financial markets. Risk science relies on several different understandings of risk, which in turn rely on the concept of probability. So before getting to risk, I’m going to jot down some thoughts on probability. These thoughts involve no computation or equations, but they do shed some light on Willie’s mindset. First a bit of background.

Oddly, the meaning of the word probability involves philosophy much more than it does math, so Willie’s use of belief might be justified. People mean very different things when they say probability. The chance of rolling a 7 is conceptually very different from the chance of an earthquake in Missouri this year. Probability is hard to define accurately. A look at its history shows why.

Mathematical theories of probability only first appeared in the late 17th century. This is puzzling, since gambling had existed for thousands of years. Gambling was enough of a problem in the ancient world that the Egyptian pharaohs, Roman emperors and Achaemenid satraps outlawed it. Such legislation had little effect on the urge to deal the cards or roll the dice. Enforcement was sporadic and halfhearted. Yet gamblers failed to develop probability theories. Historian Ian Hacking  (The Emergence of Probability) observes, “Someone with only the most modest knowledge of probability mathematics could have won himself the whole of Gaul in a week.”

Why so much interest with so little understanding? In European and middle eastern history, it seems that neither Platonism (determinism derived from ideal forms) nor the Judeo/Christian/Islamic traditions (determinism through God’s will) had much sympathy for knowledge of chance. Chance was something to which knowledge could not apply. Chance meant uncertainty, and uncertainty was the absence of knowledge. Knowledge of chance didn’t seem to make sense.

The term probability is tied to the modern understanding of evidence. In medieval times, and well into the renaissance, probability literally referred to the level of authority –  typically tied to the nobility –  of a witness in a court case. A probable opinion was one given by a reputable witness. So a testimony could be highly probable but very incorrect, even false.

Through empiricism, central to the scientific method, the notion of diagnosis (inference of a condition from key indicators) emerged in the 17th century. Diagnosis allowed nature to be the reputable authority, rather than a person of status. For example, the symptom of skin-spots could testify, with various degrees of probability, that measles had caused it. This goes back to the notion of induction and inference from the best explanation of evidence, which I discussed in a post on The Multidisciplinarian blog. Pascal, Fermat and Huygens brought probability into the respectable world of science.

But outside of science, probability and statistics still remained second class citizens right up to the 20th century. You used these tools when you didn’t have an exact set of accurate facts. Recognition of the predictive value of probability and statistics finally emerged when governments realized that death records had uses beyond preserving history, and when insurance companies figured out how to price premiums competitively.

Also around the turn of  the 20th century, it became clear that in many realms – thermodynamics and quantum mechanics for example – probability would take center stage against determinism. Scientists began to see that some – perhaps most – aspects of reality were fundamentally probabilistic in nature, not deterministic. This was a tough pill for many to swallow, even Albert Einstein. Einstein famously argued with Niels Bohr, saying, “God does not play dice.” Einstein believed that some hidden variable would eventually emerge to explain why one of two identical atoms would decay while the other did not. A century later Bohr is still winning that argument.

What we mean when we say probability today may seem uncontroversial – until you stake lives on it. Then it gets weird, and definitions become important. Defining probability is a wickedly contentious matter, because wildly conflicting conceptions of probability exist.  They can be roughly divided into the objective and subjective interpretations. In the next post I’ll focus on the frequentist interpretation, which is objective, and the subjectivist interpretations as a group. I’ll look at the impact of accepting – or believing in – each of these on the design of things like airliners and space shuttles from the perspectives of my pal Willie, Richard Feynman, and NASA. Then I’ll defend my own views on when and where to hold various beliefs about probability.

Autobrake diagram courtesy of Biggles Software.

Intuitive Probabilities

GothGuy3Meet Vic. Vic enjoys a form of music that features heavily distorted guitars, slow growling vocals, atonality, frequent tempo changes, and what is called “blast beat” drumming in the music business. His favorite death metal bands are Slayer, Leviticus, Dark Tranquility, Arch Enemy, Behemoth, Kreator, Venom, and Necrophagist.

Vic has strong views on theology and cosmology. Which is more likely?

  1. Vic is a Christian
  2. Vic is a Satanist

While teaching courses on probabilistic risk analysis over the years, I’ve found that very intelligent engineers, much more experienced than I, often find probability extremely unintuitive. Especially when very large (or very small) numbers are involved. Other aspects of probability and statistics are unintuitive for other interesting reasons. More on those later.

The matter of Vic’s belief system involves several possible biases and unintuitive aspects of statistics. Vic is almost certainly a Christian. Any other conclusion would involve the so-called base-rate fallacy, where the secondary, specific facts (affinity for death metal) somehow obscure the primary, base-rate relative frequency of Christians versus Satanists.

The Vatican claims over one billion Catholics, and most US Christians are not Catholic. Even with papal exaggeration, we can guess that there are well over a billion Christians on earth. I know hundreds if not thousands of them. I don’t know any Satanists personally, and don’t know of any public figures who are (there is conflicting evidence on Marilyn Manson). A quick Google search suggests a range of numbers of Satanists in the world, the largest of which is under 100,000. Further, I don’t ever remember seeing a single Satanist meeting facility, even in San Francisco. A web search also reveals a good number of conspicuously Christian death metal bands, including Leviticus, named above.

Without getting into the details of Bayes Theorem, it is probably obvious that the relative frequencies of Christians against Satanists governs the outcome. And judging Vic by his appearance is likely very unreliable.

South Park Community Presbyterian Church
South Park Community Presbyterian Church
Fairplay, Colorado